Research.Strategies tested, failures included.
Popular day-trading strategies and market effects, each tested on ten years of CME futures data: written as code, run with commission and slippage, judged on an out-of-sample period the rules never saw. Every paper shows the code, the figures and the verdict. We publish what doesn't work.
Popular strategies, tested
The setups traders share most, each read from its public description and run as written.
Liquidity sweep + break of structure
MES · 1 min · ICT and liquidity · Popularized by TJR
No edge after costs: profit factor 0.98 out of sample.
0.98
PF out of sample
15-minute opening range breakout
MNQ · 5 min · Breakout
Marginal: profit factor 1.07 out of sample, not clearly above break-even, t = 1.1.
1.07
PF out of sample
ICT Silver Bullet
MNQ · 1 min · ICT and liquidity · Popularized by ICT (Michael J. Huddleston)
No edge after costs: profit factor 0.95 out of sample.
0.95
PF out of sample
VWAP mean reversion
MES · 5 min · Mean reversion
No edge after costs: profit factor 0.68 out of sample.
0.68
PF out of sample
9/21 EMA cross
MES · 5 min · Momentum
No edge after costs: profit factor 0.76 out of sample.
0.76
PF out of sample
London breakout
MGC · 5 min · Breakout
Depends on the period: it lost in sample (profit factor 0.90) and made money out of sample (1.29).
1.29
PF out of sample
All papers
35 papers
Liquidity sweep + break of structure
MES · 1 min · ICT and liquidity · Popularized by TJR
No edge after costs: profit factor 0.98 out of sample.
0.98
PF out of sample
15-minute opening range breakout
MNQ · 5 min · Breakout
Marginal: profit factor 1.07 out of sample, not clearly above break-even, t = 1.1.
1.07
PF out of sample
ICT Silver Bullet
MNQ · 1 min · ICT and liquidity · Popularized by ICT (Michael J. Huddleston)
No edge after costs: profit factor 0.95 out of sample.
0.95
PF out of sample
VWAP mean reversion
MES · 5 min · Mean reversion
No edge after costs: profit factor 0.68 out of sample.
0.68
PF out of sample
9/21 EMA cross
MES · 5 min · Momentum
No edge after costs: profit factor 0.76 out of sample.
0.76
PF out of sample
London breakout
MGC · 5 min · Breakout
Depends on the period: it lost in sample (profit factor 0.90) and made money out of sample (1.29).
1.29
PF out of sample
Previous-day high/low sweep fade
MNQ · 5 min · ICT and liquidity
No edge after costs: profit factor 0.84 out of sample.
0.84
PF out of sample
5-minute opening range breakout
MES · 5 min · Breakout
No edge after costs: profit factor 0.94 out of sample.
0.94
PF out of sample
30-minute opening range breakout
MYM · 5 min · Breakout
No edge after costs: profit factor 0.99 out of sample.
0.99
PF out of sample
NR7 breakout
MES · 5 min · Breakout
Marginal: profit factor 1.71 out of sample, not clearly above break-even, t = 1.7.
1.71
PF out of sample
Inside-day breakout
M2K · 5 min · Breakout
Too few trades to judge: 29 out of sample.
0.74
PF out of sample
Donchian channel breakout
MCL · 15 min · Breakout
No edge after costs: profit factor 0.79 out of sample.
0.79
PF out of sample
Keltner channel breakout
MGC · 15 min · Breakout
No edge after costs: profit factor 0.87 out of sample.
0.87
PF out of sample
Asia-range breakout
MNQ · 5 min · Breakout
No edge after costs: profit factor 0.90 out of sample.
0.90
PF out of sample
Initial balance breakout
MYM · 5 min · Breakout
No edge after costs: profit factor 0.93 out of sample.
0.93
PF out of sample
Crude oil opening range breakout
MCL · 5 min · Breakout
No edge after costs: profit factor 0.90 out of sample.
0.90
PF out of sample
Previous-day high/low breakout
MYM · 5 min · Breakout
No edge after costs: profit factor 0.89 out of sample.
0.89
PF out of sample
Opening gap fade
M2K · 5 min · Mean reversion
Marginal: profit factor 1.00 out of sample, not clearly above break-even, t = 0.3.
1.00
PF out of sample
Bollinger Band reversion
M2K · 15 min · Mean reversion
No edge after costs: profit factor 0.84 out of sample.
0.84
PF out of sample
Gold VWAP reversion
MGC · 5 min · Mean reversion
No edge after costs: profit factor 0.68 out of sample.
0.68
PF out of sample
RSI(2) mean reversion
MES · 5 min · Mean reversion · Popularized by Larry Connors
Too few trades to judge: 35 out of sample.
3.56
PF out of sample
IBS mean reversion
MNQ · 5 min · Mean reversion
Marginal: profit factor 1.57 out of sample, not clearly above break-even, t = 1.4.
1.57
PF out of sample
Gap and go
MNQ · 5 min · Momentum
Marginal: profit factor 1.12 out of sample, not clearly above break-even, t = 0.8.
1.12
PF out of sample
VWAP trend pullback
MNQ · 5 min · Momentum
No edge after costs: profit factor 0.87 out of sample.
0.87
PF out of sample
MACD signal-line cross
MCL · 15 min · Momentum
No edge after costs: profit factor 0.93 out of sample.
0.93
PF out of sample
First-half-hour intraday momentum
MES · 5 min · Momentum
No edge after costs: profit factor 0.85 out of sample.
0.85
PF out of sample
Opening drive
M2K · 5 min · Momentum
No edge after costs: profit factor 0.82 out of sample.
0.82
PF out of sample
Bollinger-Keltner squeeze
MNQ · 15 min · Volatility · Popularized by John Carter as the TTM Squeeze
Depends on the period: it lost in sample (profit factor 0.91) and made money out of sample (1.21).
1.21
PF out of sample
EIA Wednesday breakout
MCL · 1 min · Volatility
Worked in sample, failed out of sample: profit factor 1.28 before the split, 0.98 after.
0.98
PF out of sample
HAR-RV volatility forecast
MNQ · 5 min · Volatility
Marginal: profit factor 1.10 out of sample, not clearly above break-even, t = 0.7.
1.10
PF out of sample
Volatility-targeted sizing
MES · 5 min · Volatility
Marginal: profit factor 1.08 out of sample, not clearly above break-even, t = 0.7.
1.08
PF out of sample
Overnight drift
MES · 5 min · Seasonality
Depends on the period: it lost in sample (profit factor 0.97) and made money out of sample (1.22).
1.22
PF out of sample
Turnaround Tuesday
MNQ · 5 min · Seasonality
Marginal: profit factor 1.09 out of sample, not clearly above break-even, t = 0.4.
1.09
PF out of sample
Turn of the month
MYM · 5 min · Seasonality
Too few trades to judge: 34 out of sample.
1.30
PF out of sample
Gold session returns
MGC · 5 min · Seasonality
Marginal: profit factor 1.01 out of sample, not clearly above break-even, t = 0.9.
1.01
PF out of sample
Hypothetical results. These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.